International term structure of interest rates in the Euro area

This article empirically analyses the international term structure of interest rates in the Euro area over the period from 1999 to 2006. To address the small sample problem, we apply the nonstationary panel data analysis to two data sets: (1) seven countries (Belgium, Finland, France, Germany, Italy, the Netherlands and Spain) from 1999 to 2006 and (2) eight countries (Belgium, Finland, France, Germany, Greece, Italy, the Netherlands and Spain) from 2001 to 2006. Our results support the expectations theory of the term structure of interest rates.